Titlebook: Interest Rate Models Theory and Practice; Damiano Brigo,Fabio Mercurio Book 20011st edition Springer-Verlag Berlin Heidelberg 2001 Interes

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https://doi.org/10.1007/978-3-662-04553-4Interest rates; JEL classification: G12, G13, E43; Stochastic Differential Equations; Stochastic calcul

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Definitions and NotationIn this first chapter we present the main definitions that will be used throughout the book. We will introduce the basic concepts in a rigorous way while providing at the same time intuition and motivation for their introduction. However, before starting with the definitions, a remark is in order.

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Pricing Derivatives on a Single Interest-Rate CurveIn this chapter, we present a sample of financial products we believe to be representative of a large portion of the interest-rate market. We will use different models (mostly the LFM and the G2++ model) for different problems, and try to clarify the advantages of each model. All the discounted payoffs will be calculated at time . = 0.

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Damiano Brigo,Fabio MercurioAuthors work as Head of Credit Models and Head of Financial Models at an Italian bank, this first-hand contact with trading gives them a practical insights on the subject.Accessible overview of intere

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Book 20011st editionrest for hybrid products has led to?new chapters. A special focus here is devoted to the pricing of inflation-linked derivatives.?..The three final new chapters of this second edition are devoted to credit. Since Credit Derivatives are increasingly fundamental, and since in the reduced-form modeling